You do not need to deploy the application to the JCLDEMO enterprise server, because you configured the JES program path to be the Debug sub-directory of your project. Using that setting, the enterprise server automatically finds the application files that it needs to run.
Now that the project is compiled ready to run, and that the enterprise server is configured correctly and running, you can submit the JCL job file that will start the process of running the application - see Submit and Run a JCL Job.